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摘要翻译：
行为理论认为投资者情绪对股票收益具有预测能力，但很少有人研究投资者情绪预测效应的时间范围与公司特征之间的关系。为此，利用Lemmens等人提出的频域Granger因果关系分析。(2008)，本文考察了投资者情绪对美国股票收益率预测作用的时间范围是否随公司特征（如公司规模(size)、账面市值比率(B/M)、营业盈利能力(OP)和投资(Inv)）的不同而变化。实证结果表明，投资者情绪对不同公司特征的股票收益具有长期（超过12个月）或短期（小于12个月）的预测作用。具体而言，投资者情绪对规模较小、B/M值较低和OP值较低的股票收益具有较强的短期和长期可预测性，而对分位数较高的股票只有短期可预测性。投资者情绪只对规模较小的Inv股票的短期收益具有预测性，而对规模较大的Inv股票具有较强的短期和长期预测性。这些结果对投资者制定短期和长期股票投资策略具有重要的指导意义。
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英文标题：
《Does the time horizon of the return predictive effect of investor
sentiment vary with stock characteristics? A Granger causality analysis in
the frequency domain》
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作者：
Yong Jiang, Zhongbao Zhou
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
Behavioral theories posit that investor sentiment exhibits predictive power for stock returns, whereas there is little study have investigated the relationship between the time horizon of the predictive effect of investor sentiment and the firm characteristics. To this end, by using a Granger causality analysis in the frequency domain proposed by Lemmens et al. (2008), this paper examine whether the time horizon of the predictive effect of investor sentiment on the U.S. returns of stocks vary with different firm characteristics (e.g., firm size (Size), book-to-market equity (B/M) rate, operating profitability (OP) and investment (Inv)). The empirical results indicate that investor sentiment has a long-term (more than 12 months) or short-term (less than 12 months) predictive effect on stock returns with different firm characteristics. Specifically, the investor sentiment has strong predictability in the stock returns for smaller Size stocks, lower B/M stocks and lower OP stocks, both in the short term and long term, but only has a short-term predictability for higher quantile ones. The investor sentiment merely has predictability for the returns of smaller Inv stocks in the short term, but has a strong short-term and long-term predictability for larger Inv stocks. These results have important implications for the investors for the planning of the short and the long run stock investment strategy.
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PDF链接：
https://arxiv.org/pdf/1803.02962
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